Global Mapper will automatically use a sdw file to provide coordinate information for a MrSID file unless the MrSID file contains embedded position information. Are you being prompted to select a projection for the file? If so, that is likely where the problem is occurring. You need to provide the projection that the coordinates in the SDW file are in, which your data provider should know if they didn't provide a PRJ file.
Let me know if I can be of further assistance.
Thanks,
Mike
Global Mapper Support
support@globalmapper.com